Derivative Report
June 25, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 12.65%
BankNifty futures open interest has decreased by 4.68%
as market closed at 8360.85 levels.
The Nifty June future closed at a discount of 10.55 points
against discount of 4.15 points. The July series closed at
a premium of 8.50 points.
The Implied Volatility of at the money options has
increased from 14.23% to 19.32%.
Nifty PCR-OI has decreased from 1.17 to 1.15 levels.
The total OI of the market is Rs. 2,51,934/- cr. and the
stock futures OI is Rs. 65,423/- cr.
Few of the liquid counters where we have seen high cost
of carry are SOUTHBANK, UNITECH, RCOM,
ADANIPOWER and BANKBARODA.
View
OI Gainers
Yesterday, FII's activity in cash market segment was
OI
PRICE
subdued. Whereas, they bought index futures worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs 1490 crores with significant rise in open interest,
(%)
(%)
suggesting fresh long formation from last two
SUNTV
2943500
31.00
293.75
-8.76
trading sessions.
MCLEODRUSS
1988000
23.40
233.10
-2.59
In Index options front, FIIs continue to buy of Rs.
743 crores with some rise in open interest
IBREALEST
41368000
19.81
54.20
1.31
indicating long formation. We saw good amount of
TVSMOTOR
5863000
19.41
237.75
-2.02
buildup in
8350 call options, followed by
unwinding in 8000, 8200 and 8300 call options.
DHFL
1945000
18.78
426.95
-1.24
Whereas, in put options, 8350 strike added decent
open interest. We have also witnessed heavy
OI Losers
unwinding in 8100-8300 put option. Maximum
buildup in current series in seen in 8500 call and
OI
PRICE
8200 put options.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
Rollover in Nifty and BankNifty is on the higher
HAVELLS
3457000
-15.74
286.65
-1.63
side at 45.89% & 26.26% respectively.
ENGINERSIN
3281000
-9.36
219.70
-2.94
Seeing yesterday’s options data we believe some
long straddle was formed in Nifty. We believe Nifty
M&MFIN
7592000
-9.31
278.35
0.91
may be volatile in today’s trading session. Those
GODREJIND
2345095
-8.85
341.90
-1.41
who are long in Nifty can hold on to their longs as
FIIs have started showing buying interest in Nifty.
APOLLOTYRE
13556000
-8.75
168.25
-1.15
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.15
1.20
HINDALCO
36.53
BANKNIFTY
1.05
1.06
VOLTAS
54.57
RELIANCE
0.88
0.59
BHEL
40.61
INFY
0.56
0.43
CROMPGREAV
37.27
SBIN
0.34
0.41
SUNTV
106.90
1
Derivative Report
June 25, 2015
Strategy Date
Symbol
Strategy
Status
June 01, 2015
INFY
Ratio Bull Call Spread
Active
June 08, 2015
SBIN
Ratio Bull Call Spread
Active
June 15, 2015
ITC
Short Strangle
Active
June 22, 2015
NIFTY
Ratio Bear Put Spread
Active
Research Team Tel: 022 - 39357800
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